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Hidden Markov models in finance : further developments and applications. Volume II

作者: Rogemar S Mamon
出版商: New York, NY : Springer, 2014.
叢書: International series in operations research & management science, 209.
版本/格式:   電子書 : 文獻 : 英語所有版本和格式的總覽
資料庫:WorldCat
提要:
Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different  再讀一些...
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類型/形式: Electronic books
其他的實體格式: Print version:
Mamon, Rogemar S.
Hidden Markov models in finance. Mamon, Robert J. Elliott
(OCoLC)879770632
資料類型: 文獻, 網際網路資源
文件類型: 網路資源, 電腦資料
所有的作者/貢獻者: Rogemar S Mamon
ISBN: 9781489974426 1489974423
OCLC系統控制編碼: 880372799
描述: 1 online resource (286 pages) : illustrations.
内容: Robustification of an on-line EM algorithm for modelling asset prices within an HMM --
Stochastic volatility or stochastic central tendency: evidence from a hidden Markov model of the short-term interest rate --
An econometric model of the term structure of interest rates under regime-switching risk --
The LIBOR market model: a Markov-switching jump diffusion extension --
Exchange rates and net portfolio flows: a Markov-switching approach --
Hedging costs for variable annuities under regime-switching --
A stochastic approximation approach for trend-following trading --
A hidden Markov-modulated jump diffusion model for European option pricing --
An exact formula for pricing American exchange options with regime switching --
Parameter estimation in a weak hidden Markov model with independent drift and volatility --
Parameter estimation in a regime-switching model with non-normal noise.
叢書名: International series in operations research & management science, 209.
責任: Rogemar S. Mamon, Robert J. Elliott.

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